0001752724-23-084851.txt : 20230424
0001752724-23-084851.hdr.sgml : 20230424
20230424121012
ACCESSION NUMBER: 0001752724-23-084851
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20230228
FILED AS OF DATE: 20230424
DATE AS OF CHANGE: 20230424
PERIOD START: 20230228
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: LEGG MASON PARTNERS INSTITUTIONAL TRUST
CENTRAL INDEX KEY: 0000889512
IRS NUMBER: 000000000
STATE OF INCORPORATION: MD
FISCAL YEAR END: 0831
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-06740
FILM NUMBER: 23838756
BUSINESS ADDRESS:
STREET 1: LEGG MASON & CO., LLC
STREET 2: 620 EIGHTH AVENUE, 49TH FLOOR
CITY: NEW YORK
STATE: NY
ZIP: 10018
BUSINESS PHONE: 1-877-721-1926
MAIL ADDRESS:
STREET 1: LEGG MASON & CO., LLC
STREET 2: 620 EIGHTH AVENUE, 49TH FLOOR
CITY: NEW YORK
STATE: NY
ZIP: 10018
FORMER COMPANY:
FORMER CONFORMED NAME: CITIFUNDS INSTITUTIONAL TRUST
DATE OF NAME CHANGE: 19981030
0000889512
S000069099
WESTERN ASSET SMASh SERIES CORE COMPLETION FUND
C000220869
SMASh SERIES CORE COMPLETION FUND
WAADX
NPORT-P
1
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2023-02-28
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ABS-MBS
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ABS-MBS
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Fixed
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Fixed
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N
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Written
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2023-06-21
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USD
2023-03-24
XXXX
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USD
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CORP
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Written
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2023-03-22
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USD
2023-02-24
XXXX
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US
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2052-04-01
Fixed
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N
N
N
N
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CORP
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Call
Purchased
Chicago Board of Trade
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Chicago Board of Trade
N/A
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
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2023-03-22
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2023-02-24
XXXX
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ABS-MBS
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US
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2
2052-03-01
Fixed
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N
N
N
N
N
N
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2
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Purchased
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000000000
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2023-03-31
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2023-02-24
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2051-06-01
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ABS-MBS
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2052-03-20
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N
N
N
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DIR
CORP
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1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
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Written
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2023-06-21
0.00000000
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100000.00000000
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2023-03-24
XXXX
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-0.00006390288
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DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
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Chicago Board of Trade
N/A
CBOT 5 Year US Treasury Note
000000000
0.00000000
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USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-03-31
0.00000000
USD
100000.00000000
107.50000000
USD
2023-02-24
XXXX
7593.90000000
N
N
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Freddie Mac
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Freddie Mac Pool
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PA
USD
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0.071581007279
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ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
1.50000000
N
N
N
N
N
N
Fannie Mae
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Fannie Mae Pool
3138LH6Y5
330786.92000000
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USD
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0.093559226525
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ABS-MBS
USGSE
US
N
2
2029-05-01
Fixed
3.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XHD61
92604.94000000
PA
USD
78798.49000000
0.023870353624
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-38.00000000
NC
USD
-296.90000000
-0.00008993964
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
Chicago Board of Trade
N/A
Chicago Board of Trade
N/A
CBOT 5 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-03-31
0.00000000
USD
100000.00000000
110.00000000
USD
2023-02-24
XXXX
11809.25000000
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N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133APLD9
90119.64000000
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USD
77467.38000000
0.023467121704
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
2.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-79.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
Chicago Board of Trade
N/A
Chicago Board of Trade
N/A
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
WI TREAS. NT/BD
United States Treasury Note/Bond - When Issued
2023-03-22
0.00000000
USD
100000.00000000
117.00000000
USD
2023-02-24
XXXX
48003.96000000
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CGB1
5320000.00000000
PA
USD
5255993.75000000
1.592193320708
Long
DBT
UST
US
N
2
2029-12-31
Fixed
3.87500000
N
N
N
N
N
N
COMCAST CORP
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Comcast Corp
20030NCE9
150000.00000000
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USD
121007.88000000
0.036656805059
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DBT
CORP
US
N
2
2049-11-01
Fixed
3.99900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFHS3
180550.92000000
PA
USD
161521.22000000
0.048929473638
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ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381ETV0
4312862.85000000
PA
USD
245037.46000000
0.074228970903
Long
ABS-MBS
USGA
US
N
2
2061-02-16
Variable
0.64035000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
SOFR 1 YEAR MIDCURVE
000000000
-1422.00000000
NC
USD
-684337.50000000
-0.20730572531
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Put
Written
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
SOFR 1 YEAR MIDCURVE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2025-03-18
0.00000000
USD
2500.00000000
95.37500000
USD
2023-12-15
XXXX
-90998.70000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XCZ68
261573.05000000
PA
USD
224448.04000000
0.067991836964
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KXAB2
77579.30000000
PA
USD
66421.20000000
0.020120912623
Long
ABS-MBS
USGSE
US
N
2
2050-12-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140LN5G8
87277.82000000
PA
USD
74785.84000000
0.022654805274
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
2.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
7545760.40000000
2.285830212135
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2047-02-15
0.00000000
USD
-669641.45000000
USD
-24873000.00000000
USD
8215401.85000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XGTU3
92524.03000000
PA
USD
85412.79000000
0.025874017399
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B2MQ9
94487.31000000
PA
USD
83933.36000000
0.025425855039
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
3.00000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDS7
160000.00000000
PA
USD
103701.76000000
0.031414278150
Long
DBT
CORP
US
N
2
2051-11-01
Fixed
2.88700000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
14.00000000
NC
USD
19906.25000000
0.006030181883
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Purchased
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT US Treasure Bond
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-06-21
0.00000000
USD
100000.00000000
126.00000000
USD
2023-03-24
XXXX
-5274.22000000
N
N
N
Avenue of Americas
N/A
AOA 2021-1177 Mortgage Trust
00192NAA5
6510000.00000000
PA
USD
6120924.64000000
1.854206034466
Long
ABS-MBS
CORP
US
N
2
2038-10-15
Floating
5.46240000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-39.00000000
NC
USD
-304.71000000
-0.00009230551
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
Chicago Board of Trade
N/A
Chicago Board of Trade
N/A
CBOT 5 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-03-31
0.00000000
USD
100000.00000000
110.00000000
USD
2023-02-24
XXXX
11815.33000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFSJ1
190551.18000000
PA
USD
169717.21000000
0.051412277301
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140LRT40
88896.64000000
PA
USD
76318.92000000
0.023119219779
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
2.50000000
N
N
N
N
N
N
Whitebox CLO III Ltd
549300JXCQSPB1A61C68
Whitebox CLO III Ltd
96467HAA4
2850000.00000000
PA
USD
2804468.10000000
0.849554925167
Long
ABS-CBDO
CORP
KY
N
2
2034-10-15
Floating
6.01243000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X7YH6
146417.45000000
PA
USD
130421.55000000
0.039508479397
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US ULTRA TREASURY BOND
000000000
948.00000000
NC
USD
-988907.75000000
-0.29956890918
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-06-21
129028157.75000000
USD
-988907.75000000
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05964HAQ8
200000.00000000
PA
USD
187058.95000000
0.056665594545
Long
DBT
CORP
ES
N
2
2028-03-24
Fixed
4.17500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622ABUF7
93511.98000000
PA
USD
83951.77000000
0.025431431963
Long
ABS-MBS
USGA
US
N
2
2051-11-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MNP83
94347.66000000
PA
USD
86979.16000000
0.026348516413
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
3.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
16232032.23000000
4.917154495880
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2028-08-15
550532.83000000
USD
0.00000000
USD
-109264000.00000000
USD
15681499.40000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
5.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Purchased
Chicago Board of Trade
N/A
Chicago Board of Trade
N/A
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
WI TREAS. NT/BD
United States Treasury Note/Bond - When Issued
2023-03-22
0.00000000
USD
100000.00000000
114.75000000
USD
2023-02-24
XXXX
-3368.03000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622ABUU4
97079.94000000
PA
USD
84355.97000000
0.025553875895
Long
ABS-MBS
USGA
US
N
2
2052-04-20
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WNF1
10032184.78000000
PA
USD
9007369.52000000
2.728594109705
Long
ABS-MBS
USGA
US
N
2
2051-09-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133JLYK9
96833.81000000
PA
USD
80809.80000000
0.024479637900
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
2.50000000
N
N
N
N
N
N
GoldenTree Loan Management US
5493007PBV0WMI12LF68
Goldentree Loan Management US Clo 10 Ltd
38138TAC5
5000000.00000000
PA
USD
4906770.36000000
1.486403402485
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
5.90771000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BL7
130000.00000000
PA
USD
103708.06000000
0.031416186603
Long
DBT
CORP
US
N
2
2047-05-01
Fixed
5.37500000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
TRS TREASURY BOND
000000000
1.00000000
NC
USD
-1209896.40000000
-0.36651279633
N/A
DE
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
US TREASURY N/B
United States Treasury Note/Bond
Y
2023-08-21
0.00000000
USD
0.00000000
USD
7702736.55000000
USD
-1209896.40000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
10.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Purchased
Chicago Board of Trade
N/A
Chicago Board of Trade
N/A
CBOT US Treasure Bond Futures
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-03-22
0.00000000
USD
100000.00000000
131.00000000
USD
2023-02-24
XXXX
-15173.55000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B3XG7
93278.68000000
PA
USD
80012.78000000
0.024238197369
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-3.00000000
NC
USD
-23.44000000
-0.00000710065
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
Chicago Board of Trade
N/A
Chicago Board of Trade
N/A
CBOT 5 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-03-31
0.00000000
USD
100000.00000000
110.25000000
USD
2023-02-24
XXXX
721.37000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
18991.80000000
0.005753168391
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2029-04-30
668.87000000
USD
0.00000000
USD
-563000.00000000
USD
18322.93000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QLZ82
363008.60000000
PA
USD
309884.49000000
0.093873021665
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KPFT0
95798.81000000
PA
USD
87949.26000000
0.026642387908
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133APK73
90019.80000000
PA
USD
77099.20000000
0.023355589277
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
2.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
1502442.06000000
0.455133382280
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2048-02-15
802171.75000000
USD
0.00000000
USD
-11670000.00000000
USD
700270.31000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140LRUQ9
91732.05000000
PA
USD
78688.24000000
0.023836955693
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622AAVL5
155320.87000000
PA
USD
129013.44000000
0.039081921939
Long
ABS-MBS
USGA
US
N
2
2050-12-20
Fixed
2.00000000
N
N
N
N
N
N
Golub Capital Partners CLO Ltd
2549007JA1TZWEDGPD41
Golub Capital Partners CLO 54M L.P
381743AA1
5920000.00000000
PA
USD
5798972.98000000
1.756677516164
Long
ABS-CBDO
CORP
KY
N
2
2033-08-05
Floating
6.33614000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-55.00000000
NC
USD
-21484.38000000
-0.00650824334
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-06-21
0.00000000
USD
100000.00000000
113.00000000
USD
2023-03-24
XXXX
5498.61000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXTS1
279789.90000000
PA
USD
231895.24000000
0.070247810365
Long
ABS-MBS
USGSE
US
N
2
2061-09-01
Fixed
2.50000000
N
N
N
N
N
N
ECOPETROL SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AJ8
2000000.00000000
PA
USD
1320869.70000000
0.400129835364
Long
DBT
CORP
CO
N
2
2045-05-28
Fixed
5.87500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617VKGV5
79893.71000000
PA
USD
67988.48000000
0.020595687302
Long
ABS-MBS
USGA
US
N
2
2051-05-20
Fixed
2.50000000
N
N
N
N
N
N
CREDIT SUISSE NEW YORK
549300D0YARF5HYP1809
Credit Suisse AG/New York NY
22550L2H3
1000000.00000000
PA
USD
931225.69000000
0.282095336146
Long
DBT
CORP
CH
N
2
2025-02-21
Fixed
3.70000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DV5Y7
7145480.67000000
PA
USD
6554943.85000000
1.985683071938
Long
ABS-MBS
USGSE
US
N
2
2050-05-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133ANC36
89815.85000000
PA
USD
77206.25000000
0.023388017835
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
2.50000000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00914AAU6
160000.00000000
PA
USD
155590.80000000
0.047132976998
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
5.30000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F060634
-200000.00000000
PA
USD
-202374.03000000
-0.06130497755
Short
ABS-MBS
USGSE
US
N
2
2053-03-01
Fixed
6.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
52.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Purchased
Chicago Board of Trade
N/A
Chicago Board of Trade
N/A
CBOT US Treasure Bond Futures
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-03-22
0.00000000
USD
100000.00000000
130.00000000
USD
2023-02-24
XXXX
-82543.09000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-13.00000000
NC
USD
-1625.00000000
-0.00049225974
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT US Treasure Bond
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-06-21
0.00000000
USD
100000.00000000
132.00000000
USD
2023-03-24
XXXX
16821.26000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-24.00000000
NC
USD
-1875.01000000
-0.00056799504
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-06-21
0.00000000
USD
100000.00000000
115.00000000
USD
2023-03-24
XXXX
17755.37000000
N
N
N
PETROLEOS DEL PERU SA
549300ZMGDLC9JT2OR80
Petroleos del Peru SA
716564AB5
4640000.00000000
PA
USD
3088848.00000000
0.935701864996
Long
DBT
CORP
PE
N
2
2047-06-19
Fixed
5.62500000
N
N
N
N
N
N
BX Trust
N/A
BX Trust 2021-BXMF
05609RAA2
6510000.00000000
PA
USD
6358475.84000000
1.926167199558
Long
ABS-MBS
CORP
US
N
2
2026-10-15
Floating
5.22393000
N
N
N
N
N
N
La Quinta Mortgage Trust
N/A
LAQ 2022-LAQ Mortgage Trust
50172LAA8
42930.14000000
PA
USD
42600.95000000
0.012905066343
Long
ABS-MBS
CORP
US
N
2
2039-03-15
Floating
6.28560300
N
N
N
N
N
N
Bank
N/A
BANK 2017-BNK7
06541XAL4
818000.00000000
PA
USD
706102.26000000
0.213898903915
Long
ABS-MBS
CORP
US
N
2
2060-09-15
Variable
4.01330900
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LHPM0
286539.21000000
PA
USD
270728.04000000
0.082011394518
Long
ABS-MBS
USGSE
US
N
2
2029-03-01
Fixed
3.45000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138X6PV1
159402.65000000
PA
USD
144564.96000000
0.043792929495
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DVLE3
73769.79000000
PA
USD
63636.32000000
0.019277291503
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L6TB0
76888.11000000
PA
USD
63722.25000000
0.019303322198
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
RELIANCE INDUSTRIES LTD
5493003UOETFYRONLG31
Reliance Industries Ltd
759470BD8
2730000.00000000
PA
USD
1916240.40000000
0.580484930323
Long
DBT
CORP
IN
N
2
2052-01-12
Fixed
3.62500000
N
N
N
N
N
N
KREF 2022-Fl3 Ltd
549300DG0FGL1EU1CT79
KREF 2022-FL3 Ltd
48275EAA4
2000000.00000000
PA
USD
1980959.60000000
0.600090257663
Long
ABS-CBDO
CORP
KY
N
2
2039-02-17
Floating
6.01350000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFU74
373214.05000000
PA
USD
318086.34000000
0.096357600493
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-50.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
Chicago Board of Trade
N/A
Chicago Board of Trade
N/A
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
WI TREAS. NT/BD
United States Treasury Note/Bond - When Issued
2023-03-22
0.00000000
USD
100000.00000000
115.50000000
USD
2023-02-24
XXXX
28819.75000000
N
N
N
ORBIA ADVANCE CORP SAB
549300MVHZ20SBIOEQ79
Orbia Advance Corp SAB de CV
68560EAA6
1800000.00000000
PA
USD
1576818.00000000
0.477664016927
Long
DBT
CORP
MX
N
2
2026-05-11
Fixed
1.87500000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BS2
390000.00000000
PA
USD
300402.67000000
0.091000702711
Long
DBT
CORP
US
N
2
2049-07-01
Fixed
5.12500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133ABUS7
77966.36000000
PA
USD
67072.52000000
0.020318216388
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XBYG9
175865.03000000
PA
USD
151501.25000000
0.045894133403
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AKJH4
78411.07000000
PA
USD
65051.48000000
0.019705984611
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
15524870.53000000
4.702934656786
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2028-08-15
0.00000000
USD
-101212.44000000
USD
-107914000.00000000
USD
15626082.97000000
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VGN8
310000.00000000
PA
USD
243860.15000000
0.073872329474
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
2.35500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XEC77
362645.04000000
PA
USD
333795.37000000
0.101116322407
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
3.50000000
N
N
N
N
N
N
ORBIA ADVANCE CORP SAB
549300MVHZ20SBIOEQ79
Orbia Advance Corp SAB de CV
68560EAB4
1700000.00000000
PA
USD
1340450.00000000
0.406061277516
Long
DBT
CORP
MX
N
2
2031-05-11
Fixed
2.87500000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-179.00000000
NC
USD
-69921.89000000
-0.02118137340
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-06-21
0.00000000
USD
100000.00000000
113.00000000
USD
2023-03-24
XXXX
9862.20000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-322.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
Chicago Board of Trade
N/A
Chicago Board of Trade
N/A
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
WI TREAS. NT/BD
United States Treasury Note/Bond - When Issued
2023-03-22
0.00000000
USD
100000.00000000
116.00000000
USD
2023-02-24
XXXX
207583.58000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XDKE5
797704.61000000
PA
USD
712358.91000000
0.215794225107
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JBUY0
1414295.82000000
PA
USD
1180737.92000000
0.357679844982
Long
ABS-MBS
USGSE
US
N
2
2032-02-01
Variable
2.14900000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
627144.29000000
0.189980239161
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2047-02-15
0.00000000
USD
0.00000000
USD
-2325000.00000000
USD
627144.29000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFF97
91664.72000000
PA
USD
78539.52000000
0.023791904082
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-209.00000000
NC
USD
-1632.92000000
-0.00049465894
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
Chicago Board of Trade
N/A
Chicago Board of Trade
N/A
CBOT 5 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-03-31
0.00000000
USD
100000.00000000
110.50000000
USD
2023-02-24
XXXX
70177.45000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138W5GH5
56916.93000000
PA
USD
51549.87000000
0.015615954394
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
3.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-46.00000000
NC
USD
-359.40000000
-0.00010887270
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
Chicago Board of Trade
N/A
Chicago Board of Trade
N/A
CBOT 5 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-03-31
0.00000000
USD
100000.00000000
110.25000000
USD
2023-02-24
XXXX
25475.09000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622AAVK7
157470.96000000
PA
USD
131204.48000000
0.039745651657
Long
ABS-MBS
USGA
US
N
2
2050-12-20
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F042632
200000.00000000
PA
USD
192750.00000000
0.058389579052
Long
ABS-MBS
USGSE
US
N
2
2053-03-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KYEH3
3760967.07000000
PA
USD
3075092.03000000
0.931534781739
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QNPL0
93603.29000000
PA
USD
86171.07000000
0.026103722458
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
3.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
7.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Purchased
Chicago Board of Trade
N/A
Chicago Board of Trade
N/A
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
WI TREAS. NT/BD
United States Treasury Note/Bond - When Issued
2023-03-22
0.00000000
USD
100000.00000000
111.00000000
USD
2023-02-24
XXXX
-1324.61000000
N
N
N
EOG RESOURCES INC
XWTZDRYZPBUHIQBKDB46
EOG Resources Inc
26875PAN1
312000.00000000
PA
USD
275681.78000000
0.083512026390
Long
DBT
CORP
US
N
2
2035-04-01
Fixed
3.90000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-103.00000000
NC
USD
-57937.50000000
-0.01755095323
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-06-21
0.00000000
USD
100000.00000000
112.50000000
USD
2023-03-24
XXXX
6103.06000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DTQ5
3752036.85000000
PA
USD
3081332.20000000
0.933425110660
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-DNA6
35564KKY4
5210000.00000000
PA
USD
5010276.21000000
1.517758333800
Long
ABS-MBS
CORP
US
N
2
2041-10-25
Floating
5.98413000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X8SG3
75669.63000000
PA
USD
64802.11000000
0.019630443188
Long
ABS-MBS
USGSE
US
N
2
2050-12-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622ABV33
91258.21000000
PA
USD
79666.06000000
0.024133165801
Long
ABS-MBS
USGA
US
N
2
2052-04-20
Fixed
3.00000000
N
N
N
N
N
N
COOPERATIEVE RABOBANK UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
74977RDP6
250000.00000000
PA
USD
217653.60000000
0.065933603545
Long
DBT
CORP
NL
N
2
2033-04-06
Fixed
3.75800000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CME 3 Month Eurodollar
000000000
154.00000000
NC
USD
-56648.80000000
-0.01716056853
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
NA
90 DAY EURO DOLLAR TIME DEPOSIT
2023-03-13
36603736.30000000
USD
-56648.80000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LHFT6
179559.70000000
PA
USD
167256.51000000
0.050666859728
Long
ABS-MBS
USGSE
US
N
2
2029-02-01
Fixed
3.20000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-68.00000000
NC
USD
-18062.50000000
-0.00547165640
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-06-21
0.00000000
USD
100000.00000000
113.50000000
USD
2023-03-24
XXXX
48757.36000000
N
N
N
MICRON TECHNOLOGY INC
B3DXGBC8GAIYWI2Z0172
Micron Technology Inc
595112BZ5
170000.00000000
PA
USD
164816.29000000
0.049927646143
Long
DBT
CORP
US
N
2
2033-02-09
Fixed
5.87500000
N
N
N
N
N
N
Onslow Bay Financial LLC
N/A
OBX 2022-NQM1 Trust
67114VAA1
4120593.66000000
PA
USD
3450217.16000000
1.045171090080
Long
ABS-MBS
CORP
US
N
2
2061-11-25
Variable
2.30500000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Ultra 10-Year US Treasury Note
000000000
-72.00000000
NC
USD
-10607.33000000
-0.00321326865
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2023-06-21
-8426892.67000000
USD
-10607.33000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-7.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
Chicago Board of Trade
N/A
Chicago Board of Trade
N/A
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
WI TREAS. NT/BD
United States Treasury Note/Bond - When Issued
2023-03-22
0.00000000
USD
100000.00000000
111.75000000
USD
2023-02-24
XXXX
644.14000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFPU9
89960.91000000
PA
USD
77821.90000000
0.023574516119
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-67.00000000
NC
USD
-5757.85000000
-0.00174422016
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-06-30
0.00000000
USD
100000.00000000
109.00000000
USD
2023-03-24
XXXX
29196.59000000
N
N
N
AGL CLO 6 LTD
5493008ZSC34VKNPZN79
AGL CLO 6 LTD
00119VAN9
3050000.00000000
PA
USD
3021050.65000000
0.915164076527
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
6.00771000
N
N
N
N
N
N
CODELCO INC
549300UVMBCBCIPSUI70
Corp Nacional del Cobre de Chile
21987BBA5
3100000.00000000
PA
USD
2268569.52000000
0.687215664460
Long
DBT
CORP
CL
N
2
2050-01-30
Fixed
3.70000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133ABUR9
79695.12000000
PA
USD
68747.24000000
0.020825537767
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QNTM4
94279.62000000
PA
USD
86609.99000000
0.026236684087
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
3.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
86.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Purchased
Chicago Board of Trade
N/A
Chicago Board of Trade
N/A
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
WI TREAS. NT/BD
United States Treasury Note/Bond - When Issued
2023-03-22
0.00000000
USD
100000.00000000
113.50000000
USD
2023-02-24
XXXX
-57367.54000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
154.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Purchased
Chicago Board of Trade
N/A
Chicago Board of Trade
N/A
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
WI TREAS. NT/BD
United States Treasury Note/Bond - When Issued
2023-03-22
0.00000000
USD
100000.00000000
112.75000000
USD
2023-02-24
XXXX
-94485.17000000
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
902613AM0
230000.00000000
PA
USD
224321.82000000
0.067953601256
Long
DBT
CORP
CH
N
2
2026-05-12
Fixed
4.48800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFA68
273260.54000000
PA
USD
234133.29000000
0.070925780779
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XBLK4
83779.40000000
PA
USD
74608.41000000
0.022601056569
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DVL94
927605.86000000
PA
USD
794584.35000000
0.240702701522
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-3.00000000
NC
USD
-140.63000000
-0.00004260091
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT US Treasure Bond
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-06-21
0.00000000
USD
100000.00000000
134.00000000
USD
2023-03-24
XXXX
4166.69000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-66.00000000
NC
USD
-515.66000000
-0.00015620840
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
Chicago Board of Trade
N/A
Chicago Board of Trade
N/A
CBOT 5 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-03-31
0.00000000
USD
100000.00000000
110.00000000
USD
2023-02-24
XXXX
27213.91000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XGWP0
91364.79000000
PA
USD
78230.49000000
0.023698289910
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
2.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
1214935.20000000
0.368039195353
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2052-04-21
7920.91000000
USD
0.00000000
USD
-8500000.00000000
USD
1207014.29000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-101.00000000
NC
USD
-3156.25000000
-0.00095611989
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-06-30
0.00000000
USD
100000.00000000
109.75000000
USD
2023-03-24
XXXX
36450.30000000
N
N
N
BX Commercial Mortgage Trust 2
N/A
BX Commercial Mortgage Trust 2019-XL
056054AA7
5923428.69000000
PA
USD
5896733.57000000
1.786292041186
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
5.59695000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X83X3
339940.08000000
PA
USD
290946.03000000
0.088136011511
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140M2EC2
533533.69000000
PA
USD
440076.36000000
0.133311924313
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.00000000
N
N
N
N
N
N
ELEVANCE HEALTH INC
8MYN82XMYQH89CTMTH67
Elevance Health Inc
036752AU7
660000.00000000
PA
USD
572517.01000000
0.173432047805
Long
DBT
CORP
US
N
2
2052-05-15
Fixed
4.55000000
N
N
N
N
N
N
PROSUS NV
635400Z5LQ5F9OLVT688
Prosus NV
74365PAD0
2770000.00000000
PA
USD
1755613.20000000
0.531826281335
Long
DBT
CORP
NL
N
2
2050-08-03
Fixed
4.02700000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
6-7 YEAR US TREASURY NOTE WEEK 1
000000000
-35.00000000
NC
USD
-7109.39000000
-0.00215364093
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
6-7 YEAR US TREASURY NOTE WEEK 1
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-06-21
0.00000000
USD
100000.00000000
112.00000000
USD
2023-03-03
XXXX
-326.18000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
482451.61000000
0.146148619565
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2048-02-15
274324.17000000
USD
0.00000000
USD
-8899000.00000000
USD
208127.44000000
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F052631
2300000.00000000
PA
USD
2296765.63000000
0.695757085959
Long
ABS-MBS
USGSE
US
N
2
2053-03-15
Fixed
5.50000000
N
N
N
N
N
N
AREIT CRE Trust
N/A
AREIT 2022-CRE6 Trust
04002VAA9
2360457.07000000
PA
USD
2318658.10000000
0.702388951628
Long
ABS-MBS
CORP
KY
N
2
2037-01-16
Floating
5.67632000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H050631
2800000.00000000
PA
USD
2767187.50000000
0.838261547523
Long
ABS-MBS
USGA
US
N
2
2053-03-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMT62
75318.53000000
PA
USD
62672.63000000
0.018985361783
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XDBN5
250247.11000000
PA
USD
223936.98000000
0.067837022031
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
3.00000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2018-SUN
61691MAA5
2830000.00000000
PA
USD
2803937.12000000
0.849394075887
Long
ABS-MBS
CORP
US
N
2
2035-07-15
Floating
5.48800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140LRU55
87244.28000000
PA
USD
74946.65000000
0.022703519299
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
2.50000000
N
N
N
N
N
N
ELEVANCE HEALTH INC
8MYN82XMYQH89CTMTH67
Elevance Health Inc
036752AT0
480000.00000000
PA
USD
441030.72000000
0.133601027705
Long
DBT
CORP
US
N
2
2032-05-15
Fixed
4.10000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XGGR4
715789.94000000
PA
USD
613622.59000000
0.185884123099
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-68.00000000
NC
USD
-18062.50000000
-0.00547165640
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-06-30
0.00000000
USD
100000.00000000
108.00000000
USD
2023-03-24
XXXX
14757.36000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFPJ4
184260.26000000
PA
USD
157814.55000000
0.047806615527
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133A4XN1
61196.00000000
PA
USD
54903.83000000
0.016631966392
Long
ABS-MBS
USGSE
US
N
2
2050-05-01
Fixed
3.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TJ7
770000.00000000
PA
USD
647521.88000000
0.196153203635
Long
DBT
UST
US
N
2
2052-08-15
Fixed
3.00000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCN9
160000.00000000
PA
USD
148489.40000000
0.044981756471
Long
DBT
CORP
US
N
2
2058-10-15
Fixed
4.95000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H040632
700000.00000000
PA
USD
661527.34000000
0.200395864666
Long
ABS-MBS
USGA
US
N
2
2053-03-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138W9BG4
146477.88000000
PA
USD
132786.82000000
0.040224988449
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
3.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-126.00000000
NC
USD
-1968.76000000
-0.00059639464
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-06-30
0.00000000
USD
100000.00000000
110.50000000
USD
2023-03-24
XXXX
53602.41000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
SOFR 1 YEAR MIDCURVE
000000000
711.00000000
NC
USD
728775.00000000
0.220767136052
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Put
Purchased
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
SOFR 1 YEAR MIDCURVE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2025-03-18
0.00000000
USD
2500.00000000
96.00000000
USD
2023-12-15
XXXX
74581.90000000
N
N
N
SG Capital Partners
N/A
SG Residential Mortgage Trust 2022-1
78433QAA3
1142214.70000000
PA
USD
1024910.62000000
0.310475225258
Long
ABS-MBS
CORP
US
N
2
2062-03-27
Variable
3.16600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFUH2
94599.35000000
PA
USD
80860.01000000
0.024494847969
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XBK82
257679.60000000
PA
USD
220315.23000000
0.066739888656
Long
ABS-MBS
USGSE
US
N
2
2051-06-01
Fixed
2.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-31.00000000
NC
USD
-8234.38000000
-0.00249443311
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-06-21
0.00000000
USD
100000.00000000
113.50000000
USD
2023-03-24
XXXX
16415.13000000
N
N
N
JP Morgan Chase Commercial Mor
N/A
J.P. Morgan Chase Commercial Mortgage Securities Trust 2022-ACB
46593EAA3
3420000.00000000
PA
USD
3361598.71000000
1.018325985064
Long
ABS-MBS
CORP
US
N
2
2039-03-15
Floating
5.80118000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XGRZ4
177149.73000000
PA
USD
160463.98000000
0.048609204904
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
3.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 YEAR US TREASURY NOTE
000000000
-2.00000000
NC
USD
-347.22000000
-0.00010518303
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2023-06-30
-213762.16000000
USD
-347.22000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622AAVN1
160512.66000000
PA
USD
134023.71000000
0.040599678391
Long
ABS-MBS
USGA
US
N
2
2050-12-20
Fixed
2.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-40.00000000
NC
USD
-3437.52000000
-0.00104132475
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-06-30
0.00000000
USD
100000.00000000
109.00000000
USD
2023-03-24
XXXX
25555.80000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KKJ34
81368.31000000
PA
USD
67311.64000000
0.020390652788
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XGV97
181296.01000000
PA
USD
164218.44000000
0.049746539996
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
3.00000000
N
N
N
N
N
N
Starwood Commercial Mortgage T
N/A
STWD 2022-FL3 Ltd
78485KAA3
5020000.00000000
PA
USD
4929987.89000000
1.493436667353
Long
ABS-O
CORP
KY
N
2
2038-11-15
Floating
5.75118000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KK3X5
153097.27000000
PA
USD
130978.37000000
0.039677156364
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
2.50000000
N
N
N
N
N
N
EQT CORP
4NT01YGM4X7ZX86ISY52
EQT Corp
26884LAG4
1000000.00000000
PA
USD
1033515.00000000
0.313081742125
Long
DBT
CORP
US
N
2
2030-02-01
Variable
7.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DNB36
281549.48000000
PA
USD
259195.03000000
0.078517710476
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMWN1
85785.05000000
PA
USD
73302.78000000
0.022205543281
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
2.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-27.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
Chicago Board of Trade
N/A
Chicago Board of Trade
N/A
CBOT US Treasure Bond Futures
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-03-22
0.00000000
USD
100000.00000000
135.00000000
USD
2023-02-24
XXXX
25672.04000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
27.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Purchased
Chicago Board of Trade
N/A
Chicago Board of Trade
N/A
CBOT US Treasure Bond Futures
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-03-22
0.00000000
USD
100000.00000000
125.00000000
USD
2023-02-24
XXXX
-16718.59000000
N
N
N
SMB Private Education Loan Tru
N/A
SMB Private Education Loan Trust 2021-A
78448YAC5
2988239.11000000
PA
USD
2628934.43000000
0.796380673022
Long
ABS-O
CORP
US
N
2
2053-01-15
Fixed
1.59000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VEA8
300000.00000000
PA
USD
279080.11000000
0.084541479350
Long
DBT
CORP
US
N
2
2033-08-10
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XDGP5
86351.19000000
PA
USD
74485.78000000
0.022563908376
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.50000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2018-SRP5
36255TAA0
942191.06000000
PA
USD
808431.49000000
0.244897402822
Long
ABS-MBS
CORP
US
N
2
2031-09-15
Floating
6.38800000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-13.00000000
NC
USD
-609.38000000
-0.00018459891
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT US Treasure Bond
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-06-21
0.00000000
USD
100000.00000000
134.00000000
USD
2023-03-24
XXXX
15399.39000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-42.00000000
NC
USD
-29531.28000000
-0.00894588331
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT US Treasure Bond
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-06-21
0.00000000
USD
100000.00000000
128.00000000
USD
2023-03-24
XXXX
7411.77000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JBVE3
95447.43000000
PA
USD
79495.73000000
0.024081567892
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
2 YEAR US TREASURY NOTE
000000000
-626.00000000
NC
USD
248046.68000000
0.075140551131
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2023-06-30
-127780874.50000000
USD
248046.68000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
35.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Purchased
Chicago Board of Trade
N/A
Chicago Board of Trade
N/A
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
WI TREAS. NT/BD
United States Treasury Note/Bond - When Issued
2023-03-22
0.00000000
USD
100000.00000000
111.50000000
USD
2023-02-24
XXXX
-5966.80000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
42.00000000
NC
USD
59718.76000000
0.018090548679
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Purchased
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT US Treasure Bond
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-06-21
0.00000000
USD
100000.00000000
126.00000000
USD
2023-03-24
XXXX
-9478.92000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XCCC0
157438.80000000
PA
USD
141373.49000000
0.042826140442
Long
ABS-MBS
USGSE
US
N
2
2051-06-01
Fixed
3.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-30.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
Chicago Board of Trade
N/A
Chicago Board of Trade
N/A
CBOT 5 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-03-31
0.00000000
USD
100000.00000000
108.00000000
USD
2023-02-24
XXXX
9948.11000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133APF61
86997.07000000
PA
USD
74783.56000000
0.022654114596
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XCQ68
77874.86000000
PA
USD
70274.45000000
0.021288174078
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
3.00000000
N
N
N
N
N
N
REPUBLIC OF PERU
254900STKLK2DBJJZ530
Peruvian Government International Bond
715638DW9
2280000.00000000
PA
USD
1485982.89000000
0.450147421150
Long
DBT
NUSS
PE
N
2
2072-01-15
Fixed
3.60000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2017-H1
61691JBA1
755000.00000000
PA
USD
660974.04000000
0.200228254009
Long
ABS-MBS
CORP
US
N
2
2050-06-15
Variable
4.28100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XGWS4
285822.81000000
PA
USD
263500.91000000
0.079822086718
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
3.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
19.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Purchased
Chicago Board of Trade
N/A
Chicago Board of Trade
N/A
CBOT US Treasure Bond Futures
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-03-22
0.00000000
USD
100000.00000000
128.00000000
USD
2023-02-24
XXXX
-16095.37000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
80.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Purchased
Chicago Board of Trade
N/A
Chicago Board of Trade
N/A
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
WI TREAS. NT/BD
United States Treasury Note/Bond - When Issued
2023-03-22
0.00000000
USD
100000.00000000
113.25000000
USD
2023-02-24
XXXX
-30482.15000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Three-Month SOFR
000000000
-1530.00000000
NC
USD
3194423.35000000
0.967683708030
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Short
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-03-19
-365613173.35000000
USD
3194423.35000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
91282CGK1
9644958.40000000
PA
USD
9307871.93000000
2.819625026562
Long
DBT
UST
US
N
2
2033-01-15
Fixed
1.12500000
N
N
N
N
N
N
FREEPORT-MCMORAN INC
549300IRDTHJQ1PVET45
Freeport-McMoRan Inc
35671DBJ3
410000.00000000
PA
USD
386535.70000000
0.117092901747
Long
DBT
CORP
US
N
2
2034-11-14
Fixed
5.40000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
135.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Purchased
Chicago Board of Trade
N/A
Chicago Board of Trade
N/A
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
WI TREAS. NT/BD
United States Treasury Note/Bond - When Issued
2023-03-22
0.00000000
USD
100000.00000000
112.50000000
USD
2023-02-24
XXXX
-60983.56000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
-12011.01000000
-0.00363848413
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2029-06-30
34311.64000000
USD
0.00000000
USD
-27856000.00000000
USD
-46322.65000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Three-Month SOFR
000000000
-834.00000000
NC
USD
569330.98000000
0.172466906686
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Short
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2025-03-18
-201104630.98000000
USD
569330.98000000
N
N
N
SOUTHERN COPPER CORP
2549007U6NAP46Q9TU15
Southern Copper Corp
84265VAG0
2000000.00000000
PA
USD
1872100.00000000
0.567113519816
Long
DBT
CORP
US
N
2
2042-11-08
Fixed
5.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMVK8
86582.23000000
PA
USD
76925.64000000
0.023303012907
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
3.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-67.00000000
NC
USD
-5234.39000000
-0.00158564891
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-06-21
0.00000000
USD
100000.00000000
115.00000000
USD
2023-03-24
XXXX
27212.23000000
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F060634
200000.00000000
PA
USD
202374.03000000
0.061304977550
Long
ABS-MBS
USGSE
US
N
2
2053-03-01
Fixed
6.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-113.00000000
NC
USD
-2648.49000000
-0.00080230462
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-06-30
0.00000000
USD
100000.00000000
110.00000000
USD
2023-03-24
XXXX
31562.31000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-40.00000000
NC
USD
-625.00000000
-0.00018933067
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-06-21
0.00000000
USD
100000.00000000
117.00000000
USD
2023-03-24
XXXX
27743.30000000
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN
46652BBE8
7320000.00000000
PA
USD
6475875.17000000
1.961730869907
Long
ABS-MBS
CORP
US
N
2
2037-01-16
Fixed
3.06480000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFSM4
187195.90000000
PA
USD
160082.48000000
0.048493637462
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
26.00000000
NC
USD
203.14000000
0.000061537012
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Purchased
Chicago Board of Trade
N/A
Chicago Board of Trade
N/A
CBOT 5 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-03-31
0.00000000
USD
100000.00000000
109.25000000
USD
2023-02-24
XXXX
-12334.04000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 30 DAY FEDERAL FUNDS
000000000
-415.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
FEDERAL RESERVE BANK OF NEW YORK
30 DAY FEDERAL FUNDS
2023-02-28
-165000848.08000000
USD
0.00000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X7M48
15393650.94000000
PA
USD
14566433.24000000
4.412596135844
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
4.00000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
1633620.21000000
0.494871057815
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2048-02-15
14849.01000000
USD
0.00000000
USD
-13024000.00000000
USD
1618771.20000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
26.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Purchased
Chicago Board of Trade
N/A
Chicago Board of Trade
N/A
CBOT US Treasure Bond Futures
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-03-22
0.00000000
USD
100000.00000000
132.50000000
USD
2023-02-24
XXXX
-32341.86000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-21.00000000
NC
USD
-14109.38000000
-0.00427414142
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-06-30
0.00000000
USD
100000.00000000
107.00000000
USD
2023-03-24
XXXX
291.80000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
65.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Purchased
Chicago Board of Trade
N/A
Chicago Board of Trade
N/A
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
WI TREAS. NT/BD
United States Treasury Note/Bond - When Issued
2023-03-22
0.00000000
USD
100000.00000000
111.25000000
USD
2023-02-24
XXXX
-18268.70000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X8CP0
76666.72000000
PA
USD
65640.67000000
0.019884467393
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
2.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-68.00000000
NC
USD
-531.28000000
-0.00016094015
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
Chicago Board of Trade
N/A
Chicago Board of Trade
N/A
CBOT 5 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-03-31
0.00000000
USD
100000.00000000
107.25000000
USD
2023-02-24
XXXX
18210.47000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
706745.26000000
0.214093687309
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2029-09-30
10240.03000000
USD
0.00000000
USD
-23279000.00000000
USD
696505.23000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
133.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Purchased
Chicago Board of Trade
N/A
Chicago Board of Trade
N/A
CBOT 5 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-03-31
0.00000000
USD
100000.00000000
109.75000000
USD
2023-02-24
XXXX
-85691.05000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AN5F7
87424.23000000
PA
USD
74703.39000000
0.022629828772
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AJE90
73586.06000000
PA
USD
60866.34000000
0.018438184026
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-NQM7
12662QAA4
4680272.26000000
PA
USD
3882175.85000000
1.176023936136
Long
ABS-MBS
CORP
US
N
2
2066-10-25
Variable
1.75600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DSJ2
115679.21000000
PA
USD
98808.56000000
0.029931985604
Long
ABS-MBS
USGSE
US
N
2
2050-09-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HF4E6
193843.16000000
PA
USD
165849.19000000
0.050240541584
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
2.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-68.00000000
NC
USD
-5312.50000000
-0.00160931070
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-06-21
0.00000000
USD
100000.00000000
115.00000000
USD
2023-03-24
XXXX
11038.61000000
N
N
N
Nelnet Student Loan Trust
N/A
Nelnet Student Loan Trust 2021-A
64035DAB2
1320535.49000000
PA
USD
1183227.53000000
0.358434020235
Long
ABS-O
CORP
US
N
2
2062-04-20
Fixed
1.36000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KYVX4
2325832.56000000
PA
USD
1861580.84000000
0.563926960416
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
1.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KMFR1
611820.40000000
PA
USD
522609.58000000
0.158313636239
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
2.50000000
N
N
N
N
N
N
RELIANCE INDUSTRIES LTD
5493003UOETFYRONLG31
Reliance Industries Ltd
759470BB2
1570000.00000000
PA
USD
1274382.96000000
0.386047650253
Long
DBT
CORP
IN
N
2
2032-01-12
Fixed
2.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QFB32
391605.86000000
PA
USD
336897.01000000
0.102055899341
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
2.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
21.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Purchased
Chicago Board of Trade
N/A
Chicago Board of Trade
N/A
CBOT 5 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-03-31
0.00000000
USD
100000.00000000
107.00000000
USD
2023-02-24
XXXX
-3153.53000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140M33H1
90992.05000000
PA
USD
77920.17000000
0.023604284959
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-7.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
Chicago Board of Trade
N/A
Chicago Board of Trade
N/A
CBOT US Treasure Bond Futures
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-03-22
0.00000000
USD
100000.00000000
126.50000000
USD
2023-02-24
XXXX
5784.77000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B5FE7
1254843.38000000
PA
USD
1033917.99000000
0.313203819513
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
Reese Park CLO, Ltd.
N/A
REESE PARK CLO LTD
758465BA5
4570000.00000000
PA
USD
4496253.51000000
1.362045913169
Long
ABS-CBDO
CORP
KY
N
2
2034-10-15
Floating
5.92243000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138L9U26
474522.89000000
PA
USD
432144.44000000
0.130909115131
Long
ABS-MBS
USGSE
US
N
2
2030-06-01
Fixed
2.93000000
N
N
N
N
N
N
MTN Commercial Mortgage Trust
N/A
MTN Commercial Mortgage Trust 2022-LPFL
62475WAA3
2100000.00000000
PA
USD
2082379.53000000
0.630813303163
Long
ABS-MBS
CORP
US
N
2
2039-03-15
Floating
5.95937000
N
N
N
N
N
N
522 Funding CLO Ltd
N/A
522 Funding CLO 2020-6 Ltd
33835AAJ8
4440000.00000000
PA
USD
4381064.01000000
1.327151664576
Long
ABS-CBDO
CORP
KY
N
2
2034-10-23
Floating
5.96529000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H032639
7700000.00000000
PA
USD
7077683.54000000
2.144036122279
Long
ABS-MBS
USGA
US
N
2
2053-03-20
Fixed
3.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
23.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Purchased
Chicago Board of Trade
N/A
Chicago Board of Trade
N/A
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
WI TREAS. NT/BD
United States Treasury Note/Bond - When Issued
2023-03-22
0.00000000
USD
100000.00000000
114.50000000
USD
2023-02-24
XXXX
-17227.30000000
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2022-NQM1
126416AA4
1126424.75000000
PA
USD
978366.47000000
0.296375648989
Long
ABS-MBS
CORP
US
N
2
2066-11-25
Variable
2.26500000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-85.00000000
NC
USD
-664.12000000
-0.00020118125
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
Chicago Board of Trade
N/A
Chicago Board of Trade
N/A
CBOT 5 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-03-31
0.00000000
USD
100000.00000000
110.50000000
USD
2023-02-24
XXXX
18876.40000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XBTG5
426691.74000000
PA
USD
351096.95000000
0.106357474019
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.00000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Three-Month SOFR
000000000
179.00000000
NC
USD
95968.48000000
0.029071642799
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2026-03-17
43132531.52000000
USD
95968.48000000
N
N
N
Tharaldson Hotel Portfolio Tru
N/A
Tharaldson Hotel Portfolio Trust 2018-THPT
88327HAL7
267326.49000000
PA
USD
262173.48000000
0.079419969577
Long
ABS-MBS
CORP
US
N
2
2034-11-11
Floating
6.87200000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622ABUA8
91787.62000000
PA
USD
82155.17000000
0.024887189589
Long
ABS-MBS
USGA
US
N
2
2052-03-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KKK24
681439.58000000
PA
USD
587831.76000000
0.178071330844
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
2.50000000
N
N
N
N
N
N
BNY MELLON CASH RESERVE EOD FUND
N/A
BNY MELLON CASH RESERVE EOD FUND
000000000
23422699.71000000
NS
USD
23422699.71000000
7.095416738503
Long
STIV
CORP
US
N
2
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
1384.00000000
NC
USD
-22867.85000000
-0.00692733662
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-06-21
154555117.85000000
USD
-22867.85000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KRQ69
81958.64000000
PA
USD
70508.36000000
0.021359032218
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
2.50000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RKH4
150000.00000000
PA
USD
117182.37000000
0.035497946857
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
2.25000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
49.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Purchased
Chicago Board of Trade
N/A
Chicago Board of Trade
N/A
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
WI TREAS. NT/BD
United States Treasury Note/Bond - When Issued
2023-03-22
0.00000000
USD
100000.00000000
115.75000000
USD
2023-02-24
XXXX
-31678.53000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KYDF8
84217.19000000
PA
USD
72806.73000000
0.022055275314
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XCXQ6
801801.62000000
PA
USD
686997.54000000
0.208111528772
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KKS75
151669.34000000
PA
USD
130834.13000000
0.039633461875
Long
ABS-MBS
USGSE
US
N
2
2050-12-01
Fixed
2.50000000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401BB3
250000.00000000
PA
USD
262757.28000000
0.079596819570
Long
DBT
CORP
CH
N
2
2033-11-15
Fixed
9.01600000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-21.00000000
NC
USD
-11812.50000000
-0.00357834968
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-06-21
0.00000000
USD
100000.00000000
112.50000000
USD
2023-03-24
XXXX
-536.33000000
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2018-SRP5
36255TAJ1
117773.88000000
PA
USD
87492.92000000
0.026504149254
Long
ABS-MBS
CORP
US
N
2
2031-09-15
Floating
7.58800000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trus
N/A
CSAIL 2017-C8 Commercial Mortgage Trust
12595BAJ0
2500000.00000000
PA
USD
2137629.50000000
0.647550125425
Long
ABS-MBS
CORP
US
N
2
2050-06-15
Variable
4.28740000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KKT82
229865.74000000
PA
USD
196799.37000000
0.059616250957
Long
ABS-MBS
USGSE
US
N
2
2050-12-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622AAZZ0
883819.24000000
PA
USD
711340.17000000
0.215485619142
Long
ABS-MBS
USGA
US
N
2
2051-03-20
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XBX62
84318.84000000
PA
USD
72325.71000000
0.021909560371
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140LYRC9
92648.82000000
PA
USD
79027.11000000
0.023939609269
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
28.00000000
NC
USD
28437.50000000
0.008614545547
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Purchased
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-06-21
0.00000000
USD
100000.00000000
111.50000000
USD
2023-03-24
XXXX
1920.31000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
3379484.89000000
1.023744229013
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2047-05-15
449568.42000000
USD
0.00000000
USD
-11450000.00000000
USD
2929916.47000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
27.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Purchased
Chicago Board of Trade
N/A
Chicago Board of Trade
N/A
CBOT US Treasure Bond Futures
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-03-22
0.00000000
USD
100000.00000000
124.50000000
USD
2023-02-24
XXXX
-15499.84000000
N
N
N
REPUBLIC OF CHILE
549300FLZTJM5YJF8D34
Chile Government International Bond
168863DQ8
1240000.00000000
PA
USD
772456.05000000
0.233999396089
Long
DBT
NUSS
CL
N
2
2061-01-22
Fixed
3.10000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DNBV4
192643.09000000
PA
USD
171680.52000000
0.052007020982
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
3.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
21.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Purchased
Chicago Board of Trade
N/A
Chicago Board of Trade
N/A
CBOT US Treasure Bond Futures
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-03-22
0.00000000
USD
100000.00000000
127.50000000
USD
2023-02-24
XXXX
-18520.71000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B6T83
93559.88000000
PA
USD
80087.86000000
0.024260941284
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.50000000
N
N
N
N
N
N
Cayuga Park CLO, Ltd.
549300SVH2QJEV4A2G21
Cayuga Park CLO Ltd
149791AP0
5770000.00000000
PA
USD
5675373.15000000
1.719235534090
Long
ABS-CBDO
CORP
KY
N
2
2034-07-17
Floating
5.91243000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622ABP55
375854.42000000
PA
USD
337053.88000000
0.102103419825
Long
ABS-MBS
USGA
US
N
2
2052-02-20
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622AAZY3
1422204.56000000
PA
USD
1186632.83000000
0.359465584611
Long
ABS-MBS
USGA
US
N
2
2051-03-20
Fixed
2.00000000
N
N
N
N
N
N
REPUBLIC OF KAZAKHSTAN
5493007OEK8EF02UO833
Kazakhstan Government International Bond
486661AF8
1300000.00000000
PA
USD
1178400.60000000
0.356971802799
Long
DBT
NUSS
KZ
N
2
2044-10-14
Fixed
4.87500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DVL52
1270703.70000000
PA
USD
1092470.61000000
0.330941110482
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-41.00000000
NC
USD
-14093.75000000
-0.00426940663
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-06-30
0.00000000
USD
100000.00000000
107.75000000
USD
2023-03-24
XXXX
6335.32000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFVE8
2642649.81000000
PA
USD
2180161.41000000
0.660434277546
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
37.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Purchased
Chicago Board of Trade
N/A
Chicago Board of Trade
N/A
CBOT US Treasure Bond Futures
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-03-22
0.00000000
USD
100000.00000000
129.00000000
USD
2023-02-24
XXXX
-42110.89000000
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2018-MP
61691DAA5
10500000.00000000
PA
USD
9235973.25000000
2.797844825993
Long
ABS-MBS
CORP
US
N
2
2040-07-11
Variable
4.27600000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-209.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
Chicago Board of Trade
N/A
Chicago Board of Trade
N/A
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
WI TREAS. NT/BD
United States Treasury Note/Bond - When Issued
2023-03-22
0.00000000
USD
100000.00000000
116.50000000
USD
2023-02-24
XXXX
104607.20000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X9AZ8
155691.44000000
PA
USD
133299.06000000
0.040380160838
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
2.50000000
N
N
N
N
N
N
BHMS Mortgage Trust
N/A
BHMS 2018-ATLS
05549GAL5
280000.00000000
PA
USD
263982.68000000
0.079968028858
Long
ABS-MBS
CORP
US
N
2
2035-07-15
Floating
6.83786000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622AAVM3
82246.96000000
PA
USD
68720.61000000
0.020817470766
Long
ABS-MBS
USGA
US
N
2
2050-12-20
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KJA69
63716.22000000
PA
USD
54626.10000000
0.016547833900
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
2.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
7.00000000
NC
USD
13453.13000000
0.004075344216
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Purchased
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT US Treasure Bond
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-06-21
0.00000000
USD
100000.00000000
125.00000000
USD
2023-03-24
XXXX
2066.02000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
21.00000000
NC
USD
9187.50000000
0.002783160869
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Purchased
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-06-30
0.00000000
USD
100000.00000000
107.50000000
USD
2023-03-24
XXXX
-3317.58000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFTH4
278978.55000000
PA
USD
239068.10000000
0.072420678204
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABF1
470000.00000000
PA
USD
426384.78000000
0.129164346659
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.87500000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TG3
2670000.00000000
PA
USD
2187001.17000000
0.662506239710
Long
DBT
UST
US
N
2
2052-05-15
Fixed
2.87500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AQPP6
266793.63000000
PA
USD
229188.73000000
0.069427929796
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L7PC0
77089.98000000
PA
USD
63823.65000000
0.019334039206
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2022-NQM2
64831MAA0
1821822.72000000
PA
USD
1635129.43000000
0.495328244433
Long
ABS-MBS
CORP
US
N
2
2062-03-27
Variable
3.07900000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DVKW4
244483.20000000
PA
USD
218543.97000000
0.066203322504
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140LPCJ9
96093.54000000
PA
USD
80214.29000000
0.024299240607
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F032633
-2000000.00000000
PA
USD
-1821093.74000000
-0.55166224069
Short
ABS-MBS
USGSE
US
N
2
2053-03-15
Fixed
3.50000000
N
N
N
N
N
N
Arbor Realty Collateralized Lo
N/A
Arbor Realty Commercial Real Estate Notes 2022-FL1 Ltd
03880XAA4
2268000.00000000
PA
USD
2249801.83000000
0.681530385503
Long
ABS-CBDO
CORP
KY
N
2
2037-01-15
Floating
5.85118000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X9SV8
148267.80000000
PA
USD
126912.90000000
0.038445607301
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.50000000
N
N
N
N
N
N
CREDIT SUISSE NEW YORK
549300D0YARF5HYP1809
Credit Suisse AG/New York NY
22550L2L4
250000.00000000
PA
USD
252591.18000000
0.076517212309
Long
DBT
CORP
CH
N
2
2025-01-09
Fixed
7.95000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
22.00000000
NC
USD
12031.26000000
0.003644618453
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Purchased
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-06-30
0.00000000
USD
100000.00000000
107.25000000
USD
2023-03-24
XXXX
-1764.63000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-39.00000000
NC
USD
-1218.75000000
-0.00036919480
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-06-21
0.00000000
USD
100000.00000000
116.00000000
USD
2023-03-24
XXXX
30401.29000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Three-Month SOFR
000000000
129.00000000
NC
USD
-213636.90000000
-0.06471682833
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2023-12-19
30720524.40000000
USD
-213636.90000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-67.00000000
NC
USD
-93695.35000000
-0.02838304563
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2023-06-30
0.00000000
USD
100000.00000000
108.25000000
USD
2023-03-24
XXXX
-59787.79000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-69.00000000
NC
USD
-23718.75000000
-0.00718509897
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-06-30
0.00000000
USD
100000.00000000
107.75000000
USD
2023-03-24
XXXX
411.90000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFY88
7296195.52000000
PA
USD
5980081.14000000
1.811540443403
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F020638
15600000.00000000
PA
USD
12711257.83000000
3.850609566407
Long
ABS-MBS
USGSE
US
N
2
2053-03-01
Fixed
2.00000000
N
N
N
N
N
N
EQUATE PETROCHEMICAL BV
635400Y3Z5R4NJSMQ630
Equate Petrochemical BV
29441WAC9
2000000.00000000
PA
USD
1928494.00000000
0.584196902027
Long
DBT
CORP
NL
N
2
2026-11-03
Fixed
4.25000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
6.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Purchased
Chicago Board of Trade
N/A
Chicago Board of Trade
N/A
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
WI TREAS. NT/BD
United States Treasury Note/Bond - When Issued
2023-03-22
0.00000000
USD
100000.00000000
113.00000000
USD
2023-02-24
XXXX
-3666.63000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
58.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Purchased
Chicago Board of Trade
N/A
Chicago Board of Trade
N/A
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
WI TREAS. NT/BD
United States Treasury Note/Bond - When Issued
2023-03-22
0.00000000
USD
100000.00000000
113.75000000
USD
2023-02-24
XXXX
-34506.60000000
N
N
N
INTEL CORP
KNX4USFCNGPY45LOCE31
Intel Corp
458140CF5
120000.00000000
PA
USD
118611.90000000
0.035930993056
Long
DBT
CORP
US
N
2
2030-02-10
Fixed
5.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFN23
180180.39000000
PA
USD
161490.93000000
0.048920297917
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
3.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
40.00000000
NC
USD
312.52000000
0.000094671394
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Purchased
Chicago Board of Trade
N/A
Chicago Board of Trade
N/A
CBOT 5 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-03-31
0.00000000
USD
100000.00000000
108.50000000
USD
2023-02-24
XXXX
-19131.68000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QMT95
828847.26000000
PA
USD
706776.24000000
0.214103072052
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-56.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
Chicago Board of Trade
N/A
Chicago Board of Trade
N/A
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
WI TREAS. NT/BD
United States Treasury Note/Bond - When Issued
2023-03-22
0.00000000
USD
100000.00000000
115.00000000
USD
2023-02-24
XXXX
18528.12000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFZA2
92353.98000000
PA
USD
78850.75000000
0.023886184697
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-55.00000000
NC
USD
-24921.88000000
-0.00754956203
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-06-21
0.00000000
USD
100000.00000000
115.00000000
USD
2023-05-26
XXXX
14061.11000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFBK6
79233.30000000
PA
USD
71087.31000000
0.021534413005
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DV74
80142.68000000
PA
USD
65627.66000000
0.019880526285
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
2.00000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
1221353.48000000
0.369983478971
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2029-02-15
0.00000000
USD
-52703.10000000
USD
-22681000.00000000
USD
1274056.58000000
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2020-RPL4 Trust
126405AA7
1017198.41000000
PA
USD
893308.93000000
0.270609247142
Long
ABS-MBS
CORP
US
N
2
2060-01-25
Variable
2.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
13.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Purchased
Chicago Board of Trade
N/A
Chicago Board of Trade
N/A
CBOT US Treasure Bond Futures
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-03-22
0.00000000
USD
100000.00000000
130.50000000
USD
2023-02-24
XXXX
-18100.62000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DM5J0
92434.31000000
PA
USD
79167.79000000
0.023982225331
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-39.00000000
NC
USD
-304.71000000
-0.00009230551
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
Chicago Board of Trade
N/A
Chicago Board of Trade
N/A
CBOT 5 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-03-31
0.00000000
USD
100000.00000000
110.75000000
USD
2023-02-24
XXXX
10299.70000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
26.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Purchased
Chicago Board of Trade
N/A
Chicago Board of Trade
N/A
CBOT US Treasure Bond Futures
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-03-22
0.00000000
USD
100000.00000000
129.50000000
USD
2023-02-24
XXXX
-30919.98000000
N
N
N
REPUBLIC OF PANAMA
549300SHS4T08CL0LP14
Panama Government International Bond
698299BK9
2000000.00000000
PA
USD
1722128.96000000
0.521682931512
Long
DBT
NUSS
PA
N
2
2030-01-23
Fixed
3.16000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
28.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Purchased
Chicago Board of Trade
N/A
Chicago Board of Trade
N/A
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
WI TREAS. NT/BD
United States Treasury Note/Bond - When Issued
2023-03-22
0.00000000
USD
100000.00000000
112.25000000
USD
2023-02-24
XXXX
-10767.19000000
N
N
N
CONSTELLATION BRANDS INC
5493005GKEG8QCVY7037
Constellation Brands Inc
21036PBK3
120000.00000000
PA
USD
116037.06000000
0.035150999159
Long
DBT
CORP
US
N
2
2027-05-09
Fixed
4.35000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133APF79
91477.06000000
PA
USD
78379.14000000
0.023743320317
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
2.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TM0
3720000.00000000
PA
USD
3668268.75000000
1.111225256368
Long
DBT
UST
US
N
2
2042-11-15
Fixed
4.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
4.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Purchased
Chicago Board of Trade
N/A
Chicago Board of Trade
N/A
CBOT US Treasure Bond Futures
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-03-22
0.00000000
USD
100000.00000000
127.00000000
USD
2023-02-24
XXXX
-4506.92000000
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2022-LP2
05610HAA1
4558394.81000000
PA
USD
4496244.74000000
1.362043256481
Long
ABS-MBS
CORP
US
N
2
2039-02-15
Floating
5.57537000
N
N
N
N
N
N
EQUATE PETROCHEMICAL BV
635400Y3Z5R4NJSMQ630
Equate Petrochemical BV
29441WAD7
2870000.00000000
PA
USD
2519268.78000000
0.763159759195
Long
DBT
CORP
NL
N
2
2028-04-28
Fixed
2.62500000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2V5
470000.00000000
PA
USD
462375.84000000
0.140067085145
Long
DBT
CORP
FR
N
2
2029-01-13
Fixed
5.12500000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCZ2
140000.00000000
PA
USD
102594.12000000
0.031078741790
Long
DBT
CORP
US
N
2
2050-02-01
Fixed
3.45000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-52.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
Chicago Board of Trade
N/A
Chicago Board of Trade
N/A
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
WI TREAS. NT/BD
United States Treasury Note/Bond - When Issued
2023-03-22
0.00000000
USD
100000.00000000
118.00000000
USD
2023-02-24
XXXX
21441.29000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L5QW9
84716.36000000
PA
USD
72393.17000000
0.021929995966
Long
ABS-MBS
USGSE
US
N
2
2051-06-01
Fixed
2.50000000
N
N
N
N
N
N
REPUBLIC OF PERU
254900STKLK2DBJJZ530
Peruvian Government International Bond
715638DT6
600000.00000000
PA
USD
427803.20000000
0.129594027317
Long
DBT
NUSS
PE
N
2
2051-03-10
Fixed
3.55000000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
Colombia Government International Bond
195325DZ5
11890000.00000000
PA
USD
8457846.15000000
2.562127503977
Long
DBT
NUSS
CO
N
2
2032-04-22
Fixed
3.25000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-26.00000000
NC
USD
-88968.76000000
-0.02695122409
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2023-06-21
0.00000000
USD
100000.00000000
115.00000000
USD
2023-03-24
XXXX
-74998.11000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFUG4
94131.36000000
PA
USD
80576.42000000
0.024408940313
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-41.00000000
NC
USD
-4804.70000000
-0.00145548332
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-06-30
0.00000000
USD
100000.00000000
108.75000000
USD
2023-03-24
XXXX
8577.51000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XAFA5
79433.58000000
PA
USD
68489.54000000
0.020747472944
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.50000000
N
N
N
N
N
N
STATE OF ISRAEL
213800T8ZHTFZIBYPE21
State of Israel
46513JXN6
1830000.00000000
PA
USD
1355563.35000000
0.410639550640
Long
DBT
NUSS
IL
N
2
2050-01-15
Fixed
3.37500000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-41.00000000
NC
USD
-10890.63000000
-0.00329908846
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-06-21
0.00000000
USD
100000.00000000
113.50000000
USD
2023-03-24
XXXX
1850.95000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT US Treasure Bond
000000000
4.00000000
NC
USD
1055.56000000
0.000319759813
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-06-21
499819.44000000
USD
1055.56000000
N
N
N
Ellington Financial Mortgage T
N/A
Ellington Financial Mortgage Trust 2022-1
31573CAA3
4472843.29000000
PA
USD
3815618.46000000
1.155861767602
Long
ABS-MBS
CORP
US
N
2
2067-01-25
Variable
2.20600000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F032633
4800000.00000000
PA
USD
4370624.98000000
1.323989378883
Long
ABS-MBS
USGSE
US
N
2
2053-03-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JBLD6
92919.95000000
PA
USD
78082.45000000
0.023653444290
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140LRTA6
87878.95000000
PA
USD
75379.19000000
0.022834548240
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
2.50000000
N
N
N
N
N
N
Deephaven Residential Mortgage
N/A
Deephaven Residential Mortgage Trust 2022-1
24382JAA4
1932330.22000000
PA
USD
1689147.43000000
0.511691867163
Long
ABS-MBS
CORP
US
N
2
2067-01-25
Variable
2.20500000
N
N
N
N
N
N
2023-04-21
Legg Mason Partners Institutional Trust
Christopher Berarducci
Christopher Berarducci
Principal Financial Officer